If you want to keep track of things... you could use those little round bits and stick them on the guns or minifig bases. Pop one off each time they fire, and when they're out time to reload.

Maybe only practical for the big guns like rockets or zero-point black hole manipulation and creaiton rays.

Or do a Necromunda-style jam roll... on a roll of 1, the weapon jams. Roll another die: on a 1 again it's out of ammo all game, anything else is simply out of ammo for a turn while the minifig reloads.

That's what I do in my game. When I roll a critical failure on a skill roll, I reroll the dice. The number of 1 I roll in a row tells me how bad things get.

1: The roll fails. Nothing worse.
2: The item used is lost (out of ammo, engine stalled and needs to restart, sword flies off...)
3: The item is destroyed in a painfull fashion. Generaly an explosion.

The nice part of this rule is you can scale the failures to match the scenario. In a zombie survival where ammo is rare, the out of ammo happens on the first 1. If a rebel army is using old and damaged material, the item destroyed moves to two, etc.